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Frequency domain and time series properties of asymmetric error correction terms

Cook, Steven - In: Applied economics 32 (2000) 3, pp. 297-304

Persistent link: https://www.econbiz.de/10001488632

A sensitivity analysis of threshold determination for asymmetric error correction models

Cook, Steven - In: Applied economics letters 10 (2003) 10, pp. 611-616

Persistent link: https://www.econbiz.de/10001801907

Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship

Cook, Steven - In: Applied economics letters 11 (2004) 14, pp. 879-884

Persistent link: https://www.econbiz.de/10002437902

Long-run and short-run co-movement in UK consumption and income

Cook, Steven - In: Economics letters 67 (2000) 1, pp. 11-13

Persistent link: https://www.econbiz.de/10001463491

The power of single equation tests for cointegration

Cook, Steven - In: Applied economics letters 13 (2006) 5, pp. 265-267

Persistent link: https://www.econbiz.de/10003320420

Finite-sample power properties of threshold cointegration tests

Cook, Steven - In: Applied economics letters 15 (2008) 1/3, pp. 27-30

Persistent link: https://www.econbiz.de/10003724925

Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests

Cook, Steven - In: Applied financial economics letters 4 (2008) 1/3, pp. 59-63

Persistent link: https://www.econbiz.de/10003725321

Threshold adjustment in the long-run relationship between stock prices and economic activity

Cook, Steven - In: Applied financial economics letters 3 (2007) 4/6, pp. 243-246

Persistent link: https://www.econbiz.de/10003604873

A threshold cointegration test with increased power

Cook, Steven - In: Mathematics and Computers in Simulation (MATCOM) 73 (2007) 6, pp. 386-392

The low power of threshold, or asymmetric, cointegration tests is addressed. A new test is developed which combines momentum-threshold autoregression (MTAR) and local-to-unity detrending via generalised least squares (GLS). Critical values for the newly proposed GLS-MTAR threshold cointegration...

Persistent link: https://www.econbiz.de/10010749928

ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005

COOK, STEVEN - In: Annals of Financial Economics (AFE) 02 (2006) 01, pp. 0650003-1

The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and...

Persistent link: https://www.econbiz.de/10010936591